
Variation and efficiency of high-frequency betas
Publication
, Journal Article
Zhang, C; Li, J; Todorov, V; Tauchen, G
Published in: Journal of Econometrics
May 1, 2022
This paper studies the efficient estimation of betas from high-frequency return data on a fixed time interval. Under an assumption of equal diffusive and jump betas, we derive the semiparametric efficiency bound for estimating the common beta and develop an adaptive estimator that attains the efficiency bound. We further propose a Hausman type test for deciding whether the common beta assumption is true from the high-frequency data. In our empirical analysis we provide examples of stocks and time periods for which a common market beta assumption appears true and ones for which this is not the case. We further quantify empirically the gains from the efficient common beta estimation developed in the paper.
Duke Scholars
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Published In
Journal of Econometrics
DOI
EISSN
1872-6895
ISSN
0304-4076
Publication Date
May 1, 2022
Volume
228
Issue
1
Start / End Page
156 / 175
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
APA
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ICMJE
MLA
NLM
Zhang, C., Li, J., Todorov, V., & Tauchen, G. (2022). Variation and efficiency of high-frequency betas. Journal of Econometrics, 228(1), 156–175. https://doi.org/10.1016/j.jeconom.2020.05.022
Zhang, C., J. Li, V. Todorov, and G. Tauchen. “Variation and efficiency of high-frequency betas.” Journal of Econometrics 228, no. 1 (May 1, 2022): 156–75. https://doi.org/10.1016/j.jeconom.2020.05.022.
Zhang C, Li J, Todorov V, Tauchen G. Variation and efficiency of high-frequency betas. Journal of Econometrics. 2022 May 1;228(1):156–75.
Zhang, C., et al. “Variation and efficiency of high-frequency betas.” Journal of Econometrics, vol. 228, no. 1, May 2022, pp. 156–75. Scopus, doi:10.1016/j.jeconom.2020.05.022.
Zhang C, Li J, Todorov V, Tauchen G. Variation and efficiency of high-frequency betas. Journal of Econometrics. 2022 May 1;228(1):156–175.

Published In
Journal of Econometrics
DOI
EISSN
1872-6895
ISSN
0304-4076
Publication Date
May 1, 2022
Volume
228
Issue
1
Start / End Page
156 / 175
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics